feat(live): TsmomWorker (TSM01) consenso TSMOM multi-orizzonte risk-gated

2026-05-29 17:42:44 +02:00
parent a40315563e
commit 1e60835612
2 changed files with 125 additions and 0 deletions
@@ -0,0 +1,33 @@
+import numpy as np
+import pandas as pd
+from src.live.tsmom_worker import TsmomWorker
+
+
+def _df(n=300, slope=1.0):
+    c = np.linspace(100, 100 + slope * n, n)
+    ts = (pd.date_range("2023-01-01", periods=n, freq="1D", tz="UTC").astype("int64") // 10**6)
+    return pd.DataFrame({"timestamp": ts, "open": c, "high": c, "low": c, "close": c, "volume": 1.0})
+
+
+def test_tsmom_selects_full_consensus_uptrend(tmp_path):
+    # tutti gli orizzonti positivi -> score=1>=thr; BTC su -> risk_on
+    w = TsmomWorker(universe=["BTC", "AAA"], horizons=(63, 126, 252), thr=1.0,
+                    gross=0.30, data_dir=tmp_path)
+    data = {"BTC": _df(slope=1.0), "AAA": _df(slope=2.0)}
+    w.tick(data)
+    assert w.weights["BTC"] > 0 and w.weights["AAA"] > 0
+    assert abs(sum(w.weights.values()) - 0.30) < 1e-9
+
+
+def test_tsmom_flat_when_risk_off(tmp_path):
+    w = TsmomWorker(universe=["BTC", "AAA"], thr=1.0, gross=0.30, data_dir=tmp_path)
+    data = {"BTC": _df(slope=-1.0), "AAA": _df(slope=2.0)}
+    w.tick(data)
+    assert sum(w.weights.values()) == 0.0
+
+
+def test_tsmom_persists_and_resumes(tmp_path):
+    w = TsmomWorker(universe=["BTC", "AAA"], gross=0.30, data_dir=tmp_path)
+    w.tick({"BTC": _df(slope=1.0), "AAA": _df(slope=2.0)})
+    w2 = TsmomWorker(universe=["BTC", "AAA"], gross=0.30, data_dir=tmp_path)
+    assert w2.weights == w.weights